The Band Pass Filter

@inproceedings{Christiano1999TheBP,
  title={The Band Pass Filter},
  author={Lawrence J. Christiano and Terry Fitzgerald},
  year={1999}
}
The `ideal' band pass ̄lter can be used to isolate the component of a time series that lies within a particular band of frequencies. However, applying this ̄lter requires a dataset of in ̄nite length. In practice, some sort of approximation is needed. Using projections, we derive approximations that are optimal when the time series representations underlying the raw data have a unit root, or are stationary about a trend. We identify one approximation which, though it is only optimal for one… CONTINUE READING
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